Mortality Improvement Cohorts and the Effect on the Annuities
Market and Social Security System in the United State
Ostaszewski and Richard MacMinn, Illinois State University, in response
to mortality improvement, are studying special cohorts and correlations
among them in various countries and their effect on prices of retirement
The Distribution of the Sum of Lognormals
Daniel Dufresne, University of Melbourne, worked on pricing lognormals, with a particular emphasis on the numerical application of the theoretical results to the pricing of Asian and basket options. This resulted in two papers. "Stochastic Life Annuities" will be published in the North American Actuarial Journal, vol. 10, No. 4, October 2006. "Fitting Combinations of Exponentials to Probability Distributions" will be published in Applied Stochastic Models in Business and Industry.
Levy Processes in Risk Theory
Jose Garrido and Manuel Morales, Concordia University, Montreal, Canada, investigated general risk models based on Levy Processes. The paper will be published in the North American Actuarial Journal, vol. 10, No. 3, July 2006.
Valuation of Equity-Indexed Annuities under Stochastic Interest
by Dr. Sheldon Lin, ASA and Dr. Ken Seng Tang, ASA
In the October 2003 North American Actuarial Journal, the researchers
discuss the pricing of equity-indexed annuities. An abstract of the article
can be found at http://www.soa.org/library/journals/north-american-actuarial-journal/2003/october/naaj0310_6.pdf
Exponential Dispersion Loss Models
by Professor Udi E. Makov and Professor Zinoviy M. Landsman
The research published in the North American Actuarial Journal,
Volume 7, Number 2, April 2003, develops families of contaminated exponential
dispersion loss models and examined their theoretical properties and applicability
to real heavy tailed loss data.
Actuarial Aspects of Dependencies in Insurance Portfolios
by Dr. J. Dhaene, Dr. M. Denurt, Dr. M. Goovaerts, R. Kaas,
and D. Vyncke
The researchers studied the consequences of the introduction of dependency
relations in actuarial models considering the problem at the portfolio
level and the individual risk level. The following two papers were published
in Insurance: Mathematics and Economics, "The Concept of Comonotonicity
in Actuarial Science and Finance: Theory," Volume 31, Issue 1, August
2002, and "The Concept of Comonotonicity in Actuarial Science and
Finance: Applications," Volume 31, Issue 2, October 2002.
and Efficient Fitting of Loss Models
by Dr. Robert Serfling
The researcher developed estimators which are both efficient and robust.
The results are published in the North American Actuarial Journal,
Volume 6, Number 4, October 2002.
Modern Modeling Technologies for Pension Actuaries
By Dr. Arnold F. Shapiro, EA, FSA, MAAA, MSPA
Several articles published in ARCH were a result of the research
which investigated the role of modern modeling technologies for the pension
Inner Workings of Neural Networks and Genetic Algorithms"
Used in Modeling"
Computing Applications in Actuarial Science"
Cox, Ingersoll and Ross Model: Statistics and Valuation of Interest Rate
Dr. Wojciech Szatazchneider
He presents a simple construction of the extended Cox, Ingersoll
& Ross model for term structure of interest rate, and a simple way
of pricing general interest rate derivatives with this model which can
be found in the Mexican Journal of Economics and Finance, Volume
1, Number 4, 2002
The Cost of Mismatch in Stochastic Interest Rate Models
by Dr. Michel Jacques, ASA
Evaluated the cost of mismatch by a percentile of the cash flow distribution
when interest rates follow a stochastic model.
Credibility and Equity
by Dr. Virginia Young, FSA and Dr. S. David Promislow, FCIA, FSA
To investigate the relationship between credibility and equity and answer
such questions as, "How does an actuary, faced with unknown risks, use
claim data to arrive at the most equitable premiums?" Published in the
Scandinavian Actuarial Journal, Volume 2000, Number 2/September
Family of Discrete Probability Distributions and their Application in
Analysis of Over- and Underdispersed Insurance Data
by Dr. Nikolai Kolev, Ledi Minkova, and Plamen Neytchev
The project focused on constructing a new family of discrete probability
distributions which appear as an extension to the family of generalized
power series distributions.
Approximation of Basic Characteristics of Classical and Non-Classical
by Vladimir Kalashnikov and Gurami Tsitsiashvili
The paper proposes asymptotically correct two-sided bounds for random
sums (where the number of summands has an arbitrary distribution) which
can be viewed as ruin probabilities or accumulated claim sizes in various
of Credit Line Commitments Subject to Credit Risk
by Dr. Daniel Dufresne, FSA and J.P. Chateau
In the paper, "Pricing the Put Option of Bank Credit Commitments: A Two-Factor
Model of Credit Risk," the researchers examine prime-rate loan commitments
with a floating-rate formula devised as "stochastic index cost of funds
plus a fixed forward mark-up."
Asymptotic Behavior of Non-homogeneous Risk Processes and Ruin
by Dr. Victor Korolev
The researcher investigated the asymptotic properties of generalized risk
processes in which the process of insurance claims in not a homogeneous
Poission process as it is assumed in the classical theory. This research
resulted in several papers, "The Asymptotic Expansions for Qualities of
Compound Cox Processes and their Applications to Some Problems of Insurance
and Financial Mathematics," published in Theory of Probability and
its Application, Volume 45, No. 1. It also produced "Generalized
Practices for Joint Last Survivor Insurance
by Dr. Heekyung Youn
Based on a Hougaard copula function and using data from a large insurance
company constructed a parametric model for joint survival function.
Methods for Monitoring Health Care Process Measurements
by Dr. Marjorie Rosenberg, FSA, MAAA
To develop the first step of quality control to monitor health care data.
Using a Loss Function From Spline Theory: Practical Considerations
by Dr. Virginia Young, FSA
Reviews and expands previous research by developing ways to use results
to calculate expected claims.
Bounding and Asymptotic Behavior of Ruin Probabilities in Collective
by Dr. Vladimir Kalashnikov
and Asymptotic Behavior of Ruin Probabilities in Collective Risk Theory:
Final Report III," ARCH 1998, Volume 1, the results of whole
project are summarized along with the results on the last 1/3 of the research.
Also in that article the other outcomes and locations from his research
One of the resulting papers, "Bounds
for Ruin Probabilities in the Presence of Large Claims and their Comparison,"
proposes upper and lower bonds of ruin probabilities for the S. Anderson
model with large claims and compares them.
Actuarial Index of the Right-Tail Risk
by Dr. Shuan Wang, ASA
The paper proposes to measure right tail risk by defining the right-tail
deviation and the right tail index.
Social Security a Regressive System?
by Dr. Robert L. Brown, ACAS, FCIA, FSA
This paper analyzes both the Old-Age, Survivors, and Disability Insurance
(OASDI) system of the US and the Canada/Quebec Pension Plans (C/QPP) in
Canada to determine whether these systems are "a good deal" and whether
they are regressive or progressive.
1996 Accidental Death Mortality Table: A Comprehensive Analysis of Recent
Accidental Death Experience
by Jay Jaffe, FCIA, FSA, MAAA
For actuaries interested in accidental death mortality, the researcher
considers recent death mortality experience applicable to both life policies
and other accident products, and presents a possible new valuation accident
death benefit mortality table for US business.
Between Asset Liability Management and Risk Theory
by Dr. Jacques Janssen
The resulting paper measures risks when the value of the liabilities becomes
larger than the value of the assets.
Mortality Rates and the Analysis of Selective Lapsation
by Dr. Bruce Jones, FCIA, FSA
Researches models involving random mortality rates and assesses their
suitability in analyzing insured life mortality and to develop ideas for
modeling relationships between mortality rates and lapse rates.
Statistical Methods of Combining Multiple Sets of Count Data
by Dr. H. Dennis Tolley, ASA and Dr. Gilbert Fellingham
The purpose of the research was to examine statistical methods of estimating
lapsation rates as they apply to guaranteed issue health insurance policies.
One of the resulting papers, "Combining
Life Table," uses maximum likelihood methods to illustrate a method
for combining tables of count data.
Another paper published in the Scandinavian Actuarial Journal,
Volume 2000, Number 2, September 2000, "Likelihood Methods for Combining
Tables of Data" presents similar data by presenting likelihood methods
of combining tables of data from several sources.
Stochastic Model of the Asset Liability Management
by Dr. Lijia Guo, ASA
The research addresses the stochastic modeling for managing asset liability
Analysis of CCRC Data
by Dr. Bruce Jones, FCIA, FSA
Because Continuing Care Retirement Communities (CCRC) pose an interesting
challenge to actuaries the researcher presents an approach to analyzing
CCRC data and demonstrates the methodology by using data from a CCRC.
Pricing Decisions in Insurance: A Fuzzy Logic Approach
by Dr. Virginia Young, FSA
The project researches how an actuary can use fuzzy logic to make pricing
decisions that consistently consider supplementary data. Dr. Young's results
can be found in the following two papers: "Adjusting
Indicated Insurance Rates: Fuzzy Rules that Consider Statistical Data,"
"Insurance Rate Changing: A Fuzzy Logic Approach," Journal of Risk
and Insurance, September 1996, Volume 63, Number 3.
Methodology to Deal with Dependencies on Multi-Life Risks
by Dr. Edward (Jed) Frees, FSA, Dr. Jacques Carriere, ASA, and Dr.
Emiliano Valdez, FSA
By discussing a broad class of parametric models using a copula the paper,
Valuation with Dependent Mortality," investigates the use of models
of dependent mortality for determining annuity values.
of Public Financial Guarantee Programs
The monograph by Price Waterhouse LLP for the Society of Actuaries presents
the results of a study of Public Financial Guarantee Programs in the United
States and Canada.
Employees Retirement Systems
by Michael Samet, EA, FCA, FSA, MAAA, Timothy Peach, EA, FSA, MAAA,
W. Paul Zorn
The monograph published by the Society of Actuaries is the first comprehensive
study and review of actuarial methods used by public employees retirement
of Operations Research Methods to Solve Problems of Importance in Actuarial
Science and Insurance Management
by Dr. Patrick Brockett
The research develops and documents the applicability of operations research
methodologies for improved global decision making in actuarial science
and insurance management and to extend the theory and applications to
insurance company management.
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